巴黎银行-全球-商品策略-商品定位；上升趋势阶段的准时调整

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1、PleaserefertoimportantinformationattheendofthereportCOMMODITYQUANTSTRATEGYCommodityPositioning;justapunctualadjustmentinanupwardtrendphaseThisdocumenthasbeenproducedby:TherewasanincreaseinspeculativepositionslastweekforallbasemetalsbutBancoBNPParibasBrasilS.A.copper:BNPPbasemetalsscore

2、isstillaboveneutrallevels(6.5outof10).GabrielGerszteinConsolidatedstocksimprovedfromlastweekmostlyduetothecorrectionseenincopperandaluminium.CommodityQuantStrategyHeadofGMLatamStrategyNickelcontinuestohavethemostsupportivepositioningscore.Aluminiumandzinc+551138413421areoverbought;LME

3、stocksreachedthelowestvaluesinthelastsevenyears.GustavoMendoncaAsidefrombasemetals,silverpositioningremainsatoversoldlevels.CommodityQuantStrategySameaslastweeks,thedifferencebetweentheDOEcrudeoilinventoryandthe12-FX&IRLatamStrategymonthmovingaverageisatrecordlows.+551138413445Natura

4、lgasandBrentcrudeoilweretheenergyassetswiththelargestreductioninSamuelCastrospeculativepositions(z-score).Despitethedropinspeculativepositions,bothBrentCommodityQuantStrategyandWTIcrudeoilremainoverbought.FX&IRLatamStrategy+551138413492BNPParibaspositioningscore:mixedsignalsBNPParibasba

5、semetalsscoreremainsrelativelyhighat6.5or0.2pphigherthanlastweek(Chars1-2andTable1).Thislevelisequivalenttoanon-parametricp-valueof25.3%.Aluminiumandzinccontinuetobethemetalswiththehighestoverallpositioningscore.BNPParibaspositioningscore(0-10scale)isacombinationofnormaliseddataonweekly

6、speculativeallocationsandstocksinplaceonLME,Comex,andShanghaiFuturesExchange.Therolling30-weekcorrelationbetweenBNPParibaspositioningscoreandmarketpricesremainsat70%,reinforcingthesteadyrelationshipbetweenpositioningandmarketdynamics.Charts1-2andTable1:PositioningscoresandBNPbasemetalsd

7、ynamicrollindexBNPMetalsPositioningScoreBNPMetalsPositioningScoreScale0-10CopperNickelAluminumZincConsolidatedAverageCurrentScoreagainstthenon-parametric10%90%-ilePositionScore5.83.78.67.96.5distributionofhistoricalscoresBNPBaseMetalsDynamicRollIdx940.31weekago5.93.58.27.76.37.